Econometrics Seminar: Ruoyao Shi
University of California-Riverside
“Breusch and Pagan’s (1980) Test Revisited”,
joint with Jinyong Hahn (UCLA).
We consider the local asymptotic power of Breusch and Pagan’s (1980) test for the general nonlinear models. The test is motivated by the random effects, but we consider the fixed effects for the alternative hypothesis, derive the local power, and show that the test has a power to detect the fixed effects. We also examine how the estimation noise of the maximum likelihood estimator changes the asymptotic distribution of the test under the null, and show that such a noise may be ignored in a large n large T situation, which may have a convenient implication in the possible application of the test to network models.
Keywords: Lagrange multiplier test, fixed effects, local power, error component model.
*The seminar will be on Zoom using the following link: https://georgetown.zoom.us/j/95941573790. The Zoom seminar will last one hour, from 3:30 to 4:30 pm, followed by 15 minutes of informal discussion. If you wish to be added to the list or attend this particular seminar, please contact the organizer.